value), the magnitude of default contagion, the price impact of pre- dation, and the disciplinary mechanism inherent in the …

“Safe assets” is a catch-all term for financial contracts that market participants treat as if they were risk ….S. economic output that year.To treat any contract as if it were risk-free seems delusional after apparently super-safe public and ….Precisely because there are no risk-free contracts, state intervention supplies the essential infrastructure to let people act as if …

's default and the ensuing default contagion. In unwinding the defaulter's positions, the CCP faces the price impact of …-mediated contagion and its amplification. A novel spatial measure captures the covariance between members' CDS holdings and the CDS being … themselves. In turn, the adoption of a risk-sharing guarantee fund structure would provide a natural disciplinary mechanism for …

apply to the United Kingdom. We identify 29 indicators of financial stability risk, drawing from the literature on early …

subject to rollover risk. A bank’s optimal borrowing trades off the benefit from investing additional funds into profitable … assets with the cost of greater risk of a run by bank creditors. Changes in the interest rate affect the price and amount of …

This paper examines whether the risk of future collateral fire sales affects lending decisions. We study US mortgage … risk of joint collateral liquidation. As expected, these results are stronger when fire-sale risk is more salient. The … results suggest that fire-sale risk has implications for credit allocation, and that lenders’ collective (ex-ante) origination …

this contagion with examples of high-frequency trading in equity markets, shocks to one tranche of a collateralized debt …